How to Kill a Black Swan Remy Briand and David Owyong ...

Global Index Data
Largest U.S. Index Mutual Funds Sorted By Total Net Assets In $US Millions July/August 2009
Fund Name Ticker Assets Exp Ratio 3-Mo YTD
Vanguard Tot Stk
Vanguard 500 Index
Vanguard Inst Idx
Vanguard 500 Idx Adm
Vanguard Tot Stk Adm
Vanguard Inst Idx InstPl
Vanguard Total Intl Stk
Vanguard Total Bd Idx
Vanguard Total Bond 2 Inv
Vanguard Total Bd Idx Ad
Fidelity Spar US EqIx
Vanguard 500 Index Signal
Vanguard Total Bd Idx In
Vanguard Tot Stk Inst
Fidelity U.S. Bond Index
Vanguard TotBdMkt Idx Sig
T. Rowe Price Eq Idx 500
Vanguard Tot Stk InstPls
Vanguard Eur Stk Idx
Fidelity Spar 500 Adv
Fidelity Spar 500 Idx
Fidelity 100 Index
Vanguard Mid Cap Idx
Vanguard Em Mkt Idx
Vanguard Gr Idx
Fidelity Spar US Eq Adv
Fidelity Spar Tot Mkt Ix
Vanguard Inst Tot Bd Idx
Vanguard SmCp Idx
Vanguard Mid Cap Idx Ins
Bernstein Tx-Mgd Intl
Vanguard Sh-Tm Bd Idx
Vanguard Inst DevMktsIdx
Vanguard TotStMkt Idx Sig
Vanguard Sh-Tm Bd Sgnl
Fidelity Spar Intl Index
Vanguard Intm Bd Idx
Vanguard Eur Stk Idx Ins
Vanguard ExtMktIdx
Vanguard Pac Stk Idx
Vanguard SmCp Idx Ins
Vanguard Bal Idx
Fidelity Spar Tot Mkt Adv
Vanguard ExtMktIdx Instl
Vanguard Val Idx
Vanguard REIT Index
Schwab Instl Sel S&P 500
Vanguard SmCp Vl Idx
VALIC I Stock
Vanguard Intm Bd Idx Adm
Vanguard Bal Idx Instl
Dimensional USLgCo
Schwab S&P 500 In Sel
Schwab S&P 500 In Inv
Vanguard LongTm Bd Idx
Vanguard Dev Mkts Idx
Vanguard Gr Idx Instl
Vanguard SmCp Gr Idx
Vanguard Tx-Mgd App Adm
Schwab 1000 In Inv
VTSMX
VFINX
VINIX
VFIAX
VTSAX
VIIIX
VGTSX
VBMFX
VTBIX
VBTLX
FUSEX
VIFSX
VBTIX
VITSX
FBIDX
VBTSX
PREIX
VITPX
VEURX
FSMAX
FSMKX
FOHIX
VIMSX
VEIEX
VIGRX
FUSVX
FSTMX
VITBX
NAESX
VMCIX
SNIVX
VBISX
VIDMX
VTSSX
VBSSX
FSIIX
VBIIX
VESIX
VEXMX
VPACX
VSCIX
VBINX
FSTVX
VIEIX
VIVAX
VGSIX
ISLCX
VISVX
VSTIX
VBILX
VBAIX
DFLCX
SWPPX
SWPIX
VBLTX
VDMIX
VIGIX
VISGX
VTCLX
SNXFX
41,529.0
38,045.6
32,431.0
21,950.9
19,374.4
18,972.8
17,680.6
17,043.3
14,441.9
13,875.6
13,614.5
13,351.9
12,534.3
11,061.4
9,469.6
7,626.8
7,408.2
7,029.1
6,026.5
5,957.8
5,298.0
5,066.1
4,826.4
4,497.2
4,450.1
4,395.9
4,238.4
4,226.0
4,222.8
4,201.3
4,085.8
4,037.1
3,725.7
3,581.8
3,483.3
3,366.5
3,265.6
3,234.3
3,183.6
3,048.0
2,793.6
2,757.8
2,755.1
2,709.3
2,651.4
2,502.3
2,475.6
2,400.8
2,377.1
2,371.1
2,360.6
2,271.7
2,251.7
2,208.9
2,165.6
2,165.5
2,154.7
2,029.4
1,995.5
1,983.4
0.19
0.18
0.05
0.09
0.09
0.03
0.32
0.20
-
0.11
0.10
0.09
0.07
0.06
0.32
0.11
0.35
0.03
0.27
0.07
0.10
0.20
0.22
0.45
0.22
0.07
0.10
0.05
0.23
0.08
1.12
0.18
0.12
0.09
0.10
0.10
0.18
0.12
0.25
0.32
0.08
0.20
0.07
0.07
0.21
0.21
0.10
0.23
0.36
0.11
0.08
0.15
0.19
0.37
0.18
0.27
0.08
0.23
0.10
0.50
7.62
6.46
6.48
6.49
7.69
6.49
11.47
1.41
1.31
1.43
6.50
6.50
1.45
7.70
1.71
1.43
6.44
7.70
9.14
6.52
6.51
4.64
12.40
26.54
9.59
6.50
7.66
1.44
13.98
12.47
4.78
0.87
8.15
7.68
0.89
7.77
0.76
9.14
13.50
6.03
14.10
5.57
7.67
13.54
4.12
7.96
6.30
12.71
6.38
0.78
5.61
6.54
6.43
6.37
-1.17
8.08
9.69
15.28
7.62
7.08
-1.27
-2.50
-2.46
-2.47
-1.20
-2.45
-1.85
0.71
-
0.73
-2.45
-2.47
0.75
-1.24
1.26
0.73
-2.52
-1.22
-5.83
-2.45
-2.46
-4.97
4.50
16.17
4.56
-2.44
-1.23
0.71
2.30
4.58
-6.79
1.06
-5.76
-1.22
1.08
-6.02
-0.58
-5.83
3.90
-5.61
2.41
0.10
-1.22
3.94
-7.80
-10.82
-2.67
-1.97
-3.07
-0.55
0.07
-2.37
-2.51
-2.59
-7.34
-5.72
4.61
6.66
-0.76
-1.56
Total Return % Annualized Return %
2008 2007 3-Yr
-37.04
-37.02
-36.95
-36.97
-36.99
-36.94
-44.10
5.05
-
5.15
-37.03
-36.97
5.19
-36.94
3.76
5.15
-37.06
-36.89
-44.73
-37.03
-37.05
-35.44
-41.82
-52.81
-38.32
-37.01
-37.18
5.05
-36.07
-41.76
-49.04
5.43
-41.42
-36.99
5.51
-41.43
4.93
-44.65
-38.73
-34.36
-35.98
-22.21
-37.16
-38.58
-35.97
-37.05
-36.85
-32.06
-37.21
5.01
-22.10
-36.78
-36.73
-36.88
8.64
-41.62
-38.19
-40.00
-37.58
-37.28
5.49
5.39
5.48
5.47
5.57
5.50
15.52
6.92
-
7.02
5.43
5.47
7.05
5.56
5.38
7.02
5.18
5.62
13.82
5.46
5.43
-
6.02
38.90
12.57
5.46
5.57
7.01
1.16
6.22
7.37
7.22
11.04
5.55
7.28
10.72
7.61
13.96
4.33
4.78
1.29
6.16
5.60
4.51
0.09
-16.46
5.52
-7.07
5.13
7.70
6.34
5.44
5.50
5.34
6.59
10.99
12.73
9.63
6.11
5.76
-10.75
-10.84
-10.74
-10.76
-10.66
-10.72
-11.32
5.99
-
6.08
-10.80
-10.78
6.12
-10.64
5.16
6.07
-10.96
-10.58
-12.07
-10.79
-10.82
-
-12.32
-6.14
-8.49
-10.78
-10.75
6.00
-11.99
-12.19
-18.06
5.83
-12.23
-10.68
5.89
-12.44
5.92
-11.96
-11.68
-13.14
-11.85
-3.94
-10.72
-11.52
-12.58
-16.96
-10.74
-12.75
-11.20
6.00
-3.84
-10.65
-10.67
-10.84
5.14
-12.38
-8.34
-11.50
-10.66
-10.72
Source: Morningstar. Data as of April 30, 2009. Exp Ratio is expense ratio. YTD is year-to-date. 3-, 5-, 10- and 15-yr returns are annualized. P/E is price-to-earnings ratio.
Std Dev is 3-year standard deviation. Yield is 12-month.
5-Yr 10-Yr 15-Yr P/E Std Dev Yield
-2.10
-2.80
-2.69
-2.71
-2.00
-2.66
2.04
4.71
-
4.80
-2.75
-2.76
4.84
-1.98
4.27
4.75
-2.94
-1.92
0.86
-2.74
-2.76
-
0.00
10.56
-2.26
-2.73
-2.05
4.78
-0.60
0.14
-3.23
4.14
0.83
-2.05
4.17
0.64
4.55
1.00
-0.46
0.13
-0.44
0.93
-2.03
-0.28
-2.29
-0.59
-2.70
-0.90
-3.12
4.63
1.04
-2.66
-2.67
-2.85
4.82
0.69
-2.12
-0.54
-2.08
-2.44
-1.59
-2.56
-2.45
-2.49
-1.53
-2.42
0.87
5.44
-
5.51
-2.58
-2.54
5.57
-1.48
5.46
5.47
-2.73
-
0.05
-2.57
-2.58
-
4.43
7.84
-3.50
-2.57
-1.69
-
3.27
4.58
0.17
4.91
-
-1.57
4.92
-0.14
5.85
0.16
1.26
-0.37
3.43
1.59
-1.68
1.44
-1.29
5.43
-2.54
5.18
-2.87
5.91
1.69
-2.54
-2.54
-2.71
6.19
-
-3.37
4.18
-1.75
-2.14
6.35
6.38
6.51
6.43
6.40
6.53
-
6.28
-
6.32
6.32
6.40
6.39
6.45
6.29
6.29
6.18
-
5.97
6.30
6.29
-
-
-
6.72
6.32
-
-
6.67
-
3.25
5.49
-
6.37
5.50
-
6.63
6.05
6.72
-1.28
6.80
6.70
-
6.85
6.16
-
-
-
6.13
6.66
6.77
6.36
-
-
7.39
-
6.82
-
-
6.32
11.0
10.9
10.9
10.9
11.0
10.9
6.7
-
-
-
11.1
10.9
-
11.0
-
-
11.1
10.9
7.4
11.1
11.1
11.3
10.6
8.3
12.6
11.1
11.1
-
11.5
10.6
7.0
-
8.4
11.0
-
8.6
16.5
7.4
11.5
2.9
11.5
10.9
11.1
11.5
9.6
18.0
10.0
10.3
9.4
16.5
10.9
10.9
10.0
10.0
9.0
8.4
12.6
13.1
10.9
10.1
19.26
18.65
18.64
18.65
19.27
18.64
23.89
4.07
-
4.07
18.67
18.65
4.07
19.25
3.71
4.07
18.62
19.28
23.98
18.66
18.67
-
22.66
31.28
18.87
18.66
19.25
4.10
24.60
22.68
22.93
2.48
22.57
19.25
2.48
22.67
6.66
23.98
23.29
20.49
24.60
12.16
19.24
23.30
19.59
38.30
18.60
25.19
18.76
6.66
12.14
18.57
18.58
18.55
11.60
22.60
18.87
25.01
19.18
18.78
2.68
3.02
3.06
3.12
2.77
3.09
3.07
4.62
-
4.70
2.98
3.12
4.75
2.81
4.50
4.70
2.68
2.77
7.79
3.06
3.02
3.17
1.91
4.04
1.29
3.01
2.60
4.64
1.92
2.11
3.95
3.48
5.89
2.77
3.56
3.83
4.77
8.08
1.62
1.81
2.12
3.67
2.63
1.88
4.34
9.19
3.01
2.93
3.32
4.85
3.82
3.10
3.13
2.90
5.65
5.61
1.48
0.78
2.45
2.48
52
July/August 2009